Should Investors on Equity Markets Be Superstitious (on the Example of 52 World Stock Indices)?
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Opublikowane:
lip 29, 2019
Słowa kluczowe:
market efficiency, calendar anomalie, Friday the 13th, Tuesday the 13th, unfortunate dates effect
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Abstrakt
The problem of efficiency of financial markets, especially the weekend effect, has always fascinated scientists. The issue is significant from the point of view of assessing the portfolio management effectiveness and behavioral finance. This paper tests the hypothesis of the unfortunate dates effect upon52 equity indices in relation to the following four approaches: close - close, overnight, open-open, open-close calculated for the sessions falling on the 13th and 4th day of the month, Friday the 13th, Tuesday the 13th. In the following part of the paper, the statistical equality of one-session average rates of return (close-close) for sessions falling on Friday 13th and sessions falling on other Friday sessions will be compared, as well as for sessions falling on Tuesday the 13th and sessions falling on other Tuesdays. The last part of the paper consists of the analysis of the correlation coefficients of Friday the 13th (close-close) rates of return calculated for the analyzed equity indices’ pairs.
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Borowski, K. (2019). Should Investors on Equity Markets Be Superstitious (on the Example of 52 World Stock Indices)?. Journal of Management and Financial Sciences, (29), 73–98. https://doi.org/10.33119/JMFS.2017.29.4
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Bibliografia
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2. Aggarval R., Rivoli P., Seasonal and day-of-the week effects in four emerging stock markets, “Financial Review” 1989, Vol. 24, pp. 541-550.
3. Agrawal A., Tandon K., Anomalies or illusions? Evidence from stock markets in eighteen countries, “Journal of International Money and Finance” 1994, Vol. 13, pp. 83-106.
4. Auer B., Rottman H., Is there a Friday the 13th effect in emerging Asian stock markets?, OTH im Dialog: “Weidener Discussionpapiere”, No. 35, ISBN 978-3-937804-37-8, 2013.
5. Barone E., The Italian stock market: Efficiency and calendar anomalies, “Journal of Banking and Finance” 1990, Vol. 14, pp. 493-510.
6. Botha F., Stock returns and Friday the 13th effect in five African countries, “African Review of Economics and Finance” 2013, Vol. 4, 2, pp. 247-253.
7. Boudreaux D., The monthly effect in international stock markets: Evidence and impli- cations, “Journal of Financial and Strategic Decisions” 1995, Vol. 8, 1, pp. 15-20.
8. Boyle G., Hagan A., O’Connor S., Whitwell N., Emotion, fear and superstition in the New Zealand stock market, Working Paper New Zealand Institute for the Study of Competition and Regulation Inc., 2014.
9. Chamberlain T., Cheung C., Kwan C., The Friday the Thirteenth effect: Myth or reality, “Quarterly Journal of Business and Economics” 1991, Vol. 30, pp. 111-117.
10. Chaundler C., Every Mans Book of Superstition, A.R. Mowbray and Co., London 1970.
11. Coutts J., Friday the thirteenth and the Financial Times industrial ordinary shares index 1935-94, “Applied Economics Letters” 1999, Vol. 6, pp. 35-37.
12. Defusco R., McLeavey D., Pinto J., Runkle D., Quantitative Methods for Investment Analysis, United Book Press, Baltimore 2001.
13. Dyl E., Maberly E., The anomaly that isnt there: A comment on Friday the Thirteenth, “Journal of Finance” 1988, Vol. 43, pp. 1286-1295.
14. Fama E., Efficient capital markets; A review of theory and empirical work, “Journal of Finance” 1970, Vol. 25, pp. 383-417.
15. Feltovich N., Harbaugh R., To T., Too coolfor school. Signaling and countersignalling, “RAND Journal of Economics” 2002, Vol. 33, 4, pp. 630-649.
16. Fortin N., Hill A., Huang J., Superstition in the housing market, Discussion Paper No. 7484, IZA, Bonn, 2013.
17. Fudenberg D., Levine D., Superstition and rational learning, “American Economic Review” 2006, Vol. 96, 3, pp. 630-651.
18. Gu A., The declining January effect: Evidence from U.S. equity markets, “Quarterly Review of Economics and Finance” 2003, Vol. 43, pp. 395-404.
19. Hirshleifer D., Ming J., Huai Z., Superstition and financial decision making, Working Paper, University of California, Irvine 2012.
20. Kato K., Schwarz S. Ziemba W., Day of the Weekend Effects in Japanese Stocks, Japa- nese Capital Markets, Ballinger, New York 1990.
21. Kalayaan C., Superstition in the Philippine stock market, “Review of Integrative Business and Economics Research” 2016, Vol. 5, 2, pp. 84-96.
22. Kolb E., Rodriguez R., Friday the thirteenth: part VII - a note, “Journal of Finance” 1987, Vol. 42, pp. 1385-1387.
23. Kramer T., Block L., Conscious and non-conscious components of superstitious beliefs in judgment and decision-making, “Journal of Consumer Research” 2008, Vol. 34, 6, pp. 783-793.
24. Latif M. Arshad S., Fatima M., Rarooq S., Market efficiency, market anomalies, causes, evidences and some behavioral aspects of market anomalies, “Research Journal of Finance and Accounting” 2011, Vol. 2, 9/10, pp. 1-14.
25. Lepori G., Dark omens in the sky: Do superstitious beliefs affect investment decisions?, SSRN Working Paper 1428792, 2009.
26. Lucey B., Friday the 13th and the philosophical basis of financial economics, “Journal of Economics and Finance” 2000, Vol. 24, pp. 294-301.
27. Ng T., Chong T., Du X., The value of superstitions, “Journal of Economic Psychology” 2010, Vol. 31, 3, pp. 293-309.
28. Patel J., Recent evidence on Friday the thirteenth effect in U.S. stock returns, “Journal of Business and Economics Research” 2009, Vol. 7, pp. 55-58.
29. Scalon T., Luben R., Scalon F., Singleton N., Is Friday the 13th bad for your health?, “British Medical Journal” 1993, Vol. 307, pp. 1584-1587.
30. Schwert W., Anomalies and market efficiency, Simon School of Business Working Paper no. FR 02-13, 2002.
31. Shum M., Sun W., Ye G., Superstition and ‘lucky apartments: Evidence from transac- tion-level data, “Journal of Comparative Economics” 2014, Vol. 42, 1, pp. 109-117.
32. Smirlock M., Starks M., Day-of-the-week and intraday effects in stock returns, “Journal of Financial Economics” 1986, Vol. 17, pp. 197-210.
33. Sutheebanjard P., Premchaiswadi W., Analysis of calendar effects: Day-of-the-week effect on the Stock Exchange of Thailand (SET), “International Journal of Trade, Economics and Finance” 2010, Vol.1, pp. 2010-2023.
34. Tsang E., Toward a scientific inquiry into superstitious business decision-making, “Organization Studies” 2004, Vol. 25, 6, pp. 923-945.
35. USA Today, Some hotels dont skip the 13th floor anymore, August 3, 2007.
36. Vargha A., Delaney H., Kruskal-Wallis test and stochastic homogeneity, “Journal of Educational and Behavioral Statistics” 1998, Vol. 23, 2, pp. 170-192.
37. Zhang Y., Risen J., Hosey C., Reversingones fortune by pushing away bad luck, “Journal of Experimental Psychology” 2014, Vol. 143, 3, pp.1171-1184.
2. Aggarval R., Rivoli P., Seasonal and day-of-the week effects in four emerging stock markets, “Financial Review” 1989, Vol. 24, pp. 541-550.
3. Agrawal A., Tandon K., Anomalies or illusions? Evidence from stock markets in eighteen countries, “Journal of International Money and Finance” 1994, Vol. 13, pp. 83-106.
4. Auer B., Rottman H., Is there a Friday the 13th effect in emerging Asian stock markets?, OTH im Dialog: “Weidener Discussionpapiere”, No. 35, ISBN 978-3-937804-37-8, 2013.
5. Barone E., The Italian stock market: Efficiency and calendar anomalies, “Journal of Banking and Finance” 1990, Vol. 14, pp. 493-510.
6. Botha F., Stock returns and Friday the 13th effect in five African countries, “African Review of Economics and Finance” 2013, Vol. 4, 2, pp. 247-253.
7. Boudreaux D., The monthly effect in international stock markets: Evidence and impli- cations, “Journal of Financial and Strategic Decisions” 1995, Vol. 8, 1, pp. 15-20.
8. Boyle G., Hagan A., O’Connor S., Whitwell N., Emotion, fear and superstition in the New Zealand stock market, Working Paper New Zealand Institute for the Study of Competition and Regulation Inc., 2014.
9. Chamberlain T., Cheung C., Kwan C., The Friday the Thirteenth effect: Myth or reality, “Quarterly Journal of Business and Economics” 1991, Vol. 30, pp. 111-117.
10. Chaundler C., Every Mans Book of Superstition, A.R. Mowbray and Co., London 1970.
11. Coutts J., Friday the thirteenth and the Financial Times industrial ordinary shares index 1935-94, “Applied Economics Letters” 1999, Vol. 6, pp. 35-37.
12. Defusco R., McLeavey D., Pinto J., Runkle D., Quantitative Methods for Investment Analysis, United Book Press, Baltimore 2001.
13. Dyl E., Maberly E., The anomaly that isnt there: A comment on Friday the Thirteenth, “Journal of Finance” 1988, Vol. 43, pp. 1286-1295.
14. Fama E., Efficient capital markets; A review of theory and empirical work, “Journal of Finance” 1970, Vol. 25, pp. 383-417.
15. Feltovich N., Harbaugh R., To T., Too coolfor school. Signaling and countersignalling, “RAND Journal of Economics” 2002, Vol. 33, 4, pp. 630-649.
16. Fortin N., Hill A., Huang J., Superstition in the housing market, Discussion Paper No. 7484, IZA, Bonn, 2013.
17. Fudenberg D., Levine D., Superstition and rational learning, “American Economic Review” 2006, Vol. 96, 3, pp. 630-651.
18. Gu A., The declining January effect: Evidence from U.S. equity markets, “Quarterly Review of Economics and Finance” 2003, Vol. 43, pp. 395-404.
19. Hirshleifer D., Ming J., Huai Z., Superstition and financial decision making, Working Paper, University of California, Irvine 2012.
20. Kato K., Schwarz S. Ziemba W., Day of the Weekend Effects in Japanese Stocks, Japa- nese Capital Markets, Ballinger, New York 1990.
21. Kalayaan C., Superstition in the Philippine stock market, “Review of Integrative Business and Economics Research” 2016, Vol. 5, 2, pp. 84-96.
22. Kolb E., Rodriguez R., Friday the thirteenth: part VII - a note, “Journal of Finance” 1987, Vol. 42, pp. 1385-1387.
23. Kramer T., Block L., Conscious and non-conscious components of superstitious beliefs in judgment and decision-making, “Journal of Consumer Research” 2008, Vol. 34, 6, pp. 783-793.
24. Latif M. Arshad S., Fatima M., Rarooq S., Market efficiency, market anomalies, causes, evidences and some behavioral aspects of market anomalies, “Research Journal of Finance and Accounting” 2011, Vol. 2, 9/10, pp. 1-14.
25. Lepori G., Dark omens in the sky: Do superstitious beliefs affect investment decisions?, SSRN Working Paper 1428792, 2009.
26. Lucey B., Friday the 13th and the philosophical basis of financial economics, “Journal of Economics and Finance” 2000, Vol. 24, pp. 294-301.
27. Ng T., Chong T., Du X., The value of superstitions, “Journal of Economic Psychology” 2010, Vol. 31, 3, pp. 293-309.
28. Patel J., Recent evidence on Friday the thirteenth effect in U.S. stock returns, “Journal of Business and Economics Research” 2009, Vol. 7, pp. 55-58.
29. Scalon T., Luben R., Scalon F., Singleton N., Is Friday the 13th bad for your health?, “British Medical Journal” 1993, Vol. 307, pp. 1584-1587.
30. Schwert W., Anomalies and market efficiency, Simon School of Business Working Paper no. FR 02-13, 2002.
31. Shum M., Sun W., Ye G., Superstition and ‘lucky apartments: Evidence from transac- tion-level data, “Journal of Comparative Economics” 2014, Vol. 42, 1, pp. 109-117.
32. Smirlock M., Starks M., Day-of-the-week and intraday effects in stock returns, “Journal of Financial Economics” 1986, Vol. 17, pp. 197-210.
33. Sutheebanjard P., Premchaiswadi W., Analysis of calendar effects: Day-of-the-week effect on the Stock Exchange of Thailand (SET), “International Journal of Trade, Economics and Finance” 2010, Vol.1, pp. 2010-2023.
34. Tsang E., Toward a scientific inquiry into superstitious business decision-making, “Organization Studies” 2004, Vol. 25, 6, pp. 923-945.
35. USA Today, Some hotels dont skip the 13th floor anymore, August 3, 2007.
36. Vargha A., Delaney H., Kruskal-Wallis test and stochastic homogeneity, “Journal of Educational and Behavioral Statistics” 1998, Vol. 23, 2, pp. 170-192.
37. Zhang Y., Risen J., Hosey C., Reversingones fortune by pushing away bad luck, “Journal of Experimental Psychology” 2014, Vol. 143, 3, pp.1171-1184.